Optimal portfolios when variances and covariances can jump

DOI10.1016/j.jedc.2017.09.008zbMath1401.91511OpenAlexW3125682427MaRDI QIDQ1655780

Frank Thomas Seifried, Stefan Weisheit, Matthias Muck, Nicole Branger

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.09.008

zbMATH Keywords

derivativesjump riskstochastic correlationWishart processoptimal portfolio choicecovariance jumps

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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